DEoptim: An R Package for Global Optimization by Differential Evolution

Katharine M. Mullen, David Ardia, David L. Gil, Donald Windover and James Cline

MPRA Paper from University Library of Munich, Germany

Abstract: This article describes the R package DEoptim which implements the differential evolution algorithm for the global optimization of a real-valued function of a real-valued parameter vector. The implementation of differential evolution in DEoptim interfaces with C code for efficiency. The utility of the package is illustrated via case studies in fitting a Parratt model for X-ray reflectometry data and a Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity (MSGARCH) model for the returns of the Swiss Market Index.

Keywords: global optimization; evolutionary algorithm; differential evolution; R software (search for similar items in EconPapers)
JEL-codes: C15 C22 C51 C61 C80 (search for similar items in EconPapers)
Date: 2009-12-21, Revised 2010-12-26
New Economics Papers: this item is included in nep-cmp, nep-evo and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/21743/1/MPRA_paper_21743.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/27878/2/MPRA_paper_27878.pdf revised version (application/pdf)

Related works:
Journal Article: DEoptim: An R Package for Global Optimization by Differential Evolution (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21743

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